calculating final value at risk currency value

This commit is contained in:
Andy Pack 2025-02-15 23:41:04 +00:00
parent 2289ca5e55
commit c830eb3ac7
Signed by: sarsoo
GPG Key ID: A55BA3536A5E0ED7
17 changed files with 661 additions and 883 deletions

1
Cargo.lock generated

@ -609,6 +609,7 @@ name = "pyfinlib"
version = "0.0.2"
dependencies = [
"finlib",
"log",
"pyo3",
"pyo3-log",
]

@ -42,5 +42,5 @@ pub unsafe extern "C" fn varcovar_value_at_risk(arr: *const f64, len: usize, con
slice::from_raw_parts(arr, len)
};
Box::into_raw(Box::new(finlib::risk::var::varcovar::value_at_risk(input_array, confidence)))
Box::into_raw(Box::new(finlib::risk::var::varcovar::value_at_risk_percent(input_array, confidence)))
}

@ -29,7 +29,7 @@ impl ValueAtRisk {
}
pub fn varcovar(values: Vec<f64>, confidence: f64) -> f64 {
finlib::risk::var::varcovar::value_at_risk(&values, confidence)
finlib::risk::var::varcovar::value_at_risk_percent(&values, confidence)
}
}

@ -15,8 +15,13 @@ impl Portfolio {
}
#[pyo3(name = "value_at_risk")]
pub fn value_at_risk_py(&mut self, confidence: f64) -> PyResult<Option<f64>> {
Ok(self.value_at_risk(confidence))
pub fn value_at_risk_py(&mut self, confidence: f64, initial_investment: f64) -> PyResult<Option<f64>> {
Ok(self.value_at_risk(confidence, initial_investment))
}
#[pyo3(name = "value_at_risk_percent")]
pub fn value_at_risk_pct_py(&mut self, confidence: f64) -> PyResult<Option<f64>> {
Ok(self.value_at_risk_percent(confidence))
}
}

@ -14,9 +14,14 @@ impl Portfolio {
self.is_valid()
}
#[wasm_bindgen(js_name = "valueAtRiskPercent")]
pub fn value_at_risk_pct_wasm(&mut self, confidence: f64) -> Option<f64> {
self.value_at_risk_percent(confidence)
}
#[wasm_bindgen(js_name = "valueAtRisk")]
pub fn value_at_risk_wasm(&mut self, confidence: f64) -> Option<f64> {
self.value_at_risk(confidence)
pub fn value_at_risk_wasm(&mut self, confidence: f64, initial_investment: f64) -> Option<f64> {
self.value_at_risk(confidence, initial_investment)
}
}

@ -0,0 +1,9 @@
use statrs::distribution::{ContinuousCDF, Normal};
pub fn mean_investment(portfolio_mean_change: f64, initial_investment: f64) -> f64 {
(1. + portfolio_mean_change) * initial_investment
}
pub fn std_dev_investment(portfolio_change_stddev: f64, initial_investment: f64) -> f64 {
portfolio_change_stddev * initial_investment
}

@ -1,2 +1,3 @@
pub mod var;
pub mod portfolio;
pub mod forecast;

@ -4,7 +4,7 @@ use ndarray_stats::CorrelationExt;
use wasm_bindgen::prelude::*;
#[cfg(feature = "py")]
use pyo3::prelude::*;
use crate::risk::var::varcovar::portfolio_value_at_risk;
use crate::risk::var::varcovar::{portfolio_value_at_risk, portfolio_value_at_risk_percent};
use crate::stats;
use crate::util::roc::rates_of_change;
@ -170,8 +170,12 @@ impl Portfolio {
Some((porfolio_mean_return, portfolio_stddev))
}
pub fn value_at_risk(&mut self, confidence: f64) -> Option<f64> {
portfolio_value_at_risk(self, confidence)
pub fn value_at_risk(&mut self, confidence: f64, initial_investment: f64) -> Option<f64> {
portfolio_value_at_risk(self, confidence, initial_investment)
}
pub fn value_at_risk_percent(&mut self, confidence: f64) -> Option<f64> {
portfolio_value_at_risk_percent(self, confidence)
}
}

@ -1,34 +1,63 @@
use log::info;
use crate::stats;
use crate::util::roc::rates_of_change;
use ndarray_stats::CorrelationExt;
use crate::risk::portfolio::Portfolio;
#[cfg(feature = "parallel")]
use rayon::prelude::*;
use statrs::distribution::{ContinuousCDF, Normal};
use crate::risk::forecast::{mean_investment, std_dev_investment};
// https://medium.com/@serdarilarslan/value-at-risk-var-and-its-implementation-in-python-5c9150f73b0e
pub fn value_at_risk(values: &[f64], confidence: f64) -> f64 {
pub fn value_at_risk_percent(values: &[f64], confidence: f64) -> f64 {
let roc = rates_of_change(values).collect::<Vec<_>>();
let mean = stats::mean(&roc);
let std_dev = stats::sample_std_dev(&roc);
let n = Normal::new(0.0, 1.0).unwrap();
let n = Normal::new(mean, std_dev).unwrap();
mean + std_dev * n.inverse_cdf(confidence)
n.inverse_cdf(confidence)
}
pub fn portfolio_value_at_risk(portfolio: &mut Portfolio, confidence: f64) -> Option<f64> {
pub fn portfolio_value_at_risk_percent(portfolio: &mut Portfolio, confidence: f64) -> Option<f64> {
match portfolio.get_mean_and_std() {
None => None,
Some((mean, std_dev)) => {
let n = Normal::new(0.0, 1.0).unwrap();
Some(mean + std_dev * n.inverse_cdf(confidence))
let n = Normal::new(mean, std_dev).unwrap();
Some(n.inverse_cdf(confidence))
}
}
}
pub fn portfolio_value_at_risk(portfolio: &mut Portfolio, confidence: f64, initial_investment: f64) -> Option<f64> {
match portfolio.get_mean_and_std() {
None => None,
Some((mean, std_dev)) => {
let investment_mean = mean_investment(mean, initial_investment);
let investment_std_dev = std_dev_investment(std_dev, std_dev);
info!("{:?}, {:?}", investment_mean, investment_std_dev);
let investment_var = investment_value_at_risk(confidence, investment_mean, investment_std_dev);
println!("{:?}", investment_var);
Some(initial_investment - investment_var)
}
}
}
pub fn investment_value_at_risk(confidence: f64, investment_mean: f64, investment_std_dev: f64) -> f64 {
let n = Normal::new(investment_mean, investment_std_dev).unwrap();
n.inverse_cdf(confidence)
}
pub fn scale_value_at_risk(initial_value: f64, time_cycles: isize) -> f64 {
initial_value * f64::sqrt(time_cycles as f64)
}
#[cfg(test)]
mod tests {
use super::*;
@ -43,7 +72,7 @@ mod tests {
let mut portfolio = Portfolio::from(assets);
portfolio_value_at_risk(&mut portfolio, 0.1);
portfolio_value_at_risk_percent(&mut portfolio, 0.1);
}
@ -55,6 +84,20 @@ mod tests {
let mut portfolio = Portfolio::from(assets);
portfolio_value_at_risk(&mut portfolio, 0.1);
portfolio_value_at_risk_percent(&mut portfolio, 0.1);
}
#[test]
fn var_test_one_asset_investment() {
let assets = vec![
PortfolioAsset::new(1., "awdad".to_string(), vec![10., 9., 8., 7.])
// PortfolioAsset::new(1., "awdad".to_string(), vec![2.1, 2., 2.1, 1., 1.])
];
let mut portfolio = Portfolio::from(assets);
println!("{:?}", portfolio_value_at_risk(&mut portfolio, 0.01, 1_000_000.));
println!("{:?}", portfolio_value_at_risk(&mut portfolio, 0.1, 1_000_000.));
println!("{:?}", portfolio_value_at_risk(&mut portfolio, 0.5, 1_000_000.));
}
}

@ -31,281 +31,6 @@
"outputs": [],
"execution_count": 2
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-02-14T22:39:50.200378Z",
"start_time": "2025-02-14T22:39:50.192064Z"
}
},
"cell_type": "code",
"source": "aapl.results",
"id": "ba361e8697a2e425",
"outputs": [
{
"data": {
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File diff suppressed because one or more lines are too long

60
notebooks/poetry.lock generated

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]
},
"execution_count": 3,
"metadata": {},
"output_type": "execute_result"
}
],
"execution_count": 3
},
{
"metadata": {
"ExecuteTime": {

File diff suppressed because one or more lines are too long

@ -24,4 +24,5 @@ crate-type = ["cdylib"]
[dependencies]
finlib = { path = "../finlib", features = ["py"] }
pyo3 = { workspace = true }
pyo3-log = { workspace = true }
pyo3-log = { workspace = true }
log = "0.4.25"

@ -12,7 +12,6 @@ mod pyfinlib {
#[pymodule_init]
fn init(m: &Bound<'_, PyModule>) -> PyResult<()> {
pyo3_log::init();
Ok(())
}
@ -41,7 +40,7 @@ mod pyfinlib {
#[pyfunction]
fn varcovar(values: Vec<f64>, confidence: f64) -> PyResult<f64> {
Ok(finlib::risk::var::varcovar::value_at_risk(&values, confidence))
Ok(finlib::risk::var::varcovar::value_at_risk_percent(&values, confidence))
}
}
}